Methodology Change | DB US Systematic Merger Arbitrage USD – Excess Return Index | Effective Date 28/10/2019

Today, on the 25/10/2019, Solactive announces the following changes to the methodology of the following index (the ‘Affected Index’):

Rationale for methodology change

The Affected Index is calculated based on the performance of two sub-indices: the Top Index (DB US Systematic Merger Arbitrage Top – USD – Net Total Return Index) and the Bottom Index (DB US Systematic Merger Arbitrage Bottom – USD – Gross Total Return). For the reconstitution of the Top Index and the Bottom Index volume weighted average prices (VWAP´s) for the Shares represented in the respective index are used. Currently, the VWAP´s are sourced from the data vendor Reuters.  Due to licensing restrictions, this data source (Reuters) will no longer be available for the use in the Affected Index.

Henceforth, Solactive will use VWAP´s from alternative data vendors. Such data vendors are widely recognized in financial markets.

The index guideline for the Affected Index explicitly mentions in the description of the Top Index and the Bottom Index explicitly Reuters as the data source for the VWAP´s. Accordingly, the index guideline will be amended to reflect such replacement of the data source.

Changes to the Index Guideline

The definition “VWAP” in Section 7.3 in each of the Schedules 1 and 2 in the index guideline is replaced by the following wording:

“VWAP                 means, for each Share traded in the US, the volume weighted average price which is sourced by the Index Administrator from data vendors and is based on the quotes published by the relevant Exchange during the period between the open and close of each Trading Day. For each Share not traded in the US, VWAP means the volume weighted average price which is sourced by the Index Administrator from data vendors and is based on the quotes published by the relevant exchange during the period between the open and close of each Trading Day of such relevant exchange.”

Defined terms used in this announcement, but not defined herein, have the meaning assigned to them in the respective index guideline of the Affected Index.